Preheat the oven to 350 degrees F (175 degrees C). Line a baking sheet with aluminum foil; place a baking rack on top. Coat the baking rack with cooking spray.

Combine bread crumbs and milk in a large bowl until bread crumbs soak up milk, about 10 minutes. Mix in ground beef, ground pork, onion, parsley, celery, egg, garlic, sugar, salt, and pepper until combined; mixture will be fairly wet. Form into 36 meatballs with a 1-tablespoon cookie scoop; place on the prepared baking rack.

Bake in the preheated oven until an instant-read thermometer inserted into centers of meatballs reads 160 degrees F (71 degrees C), about 18 minutes.

Meanwhile, melt butter in a large saucepan over medium-low heat. Whisk in flour; cooking and stirring constantly, for 2 minutes. Gradually whisk in beef broth and Worcestershire sauce until smooth; cook and stir until slightly thickened, about 12 minutes.

Add meatballs to sauce; simmer 3 minutes. Stir in sour cream, dill, and lemon zest; season with salt and pepper. Serve immediately.